statsmodels.tsa.tsatools.lagmat2ds¶
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statsmodels.tsa.tsatools.lagmat2ds(x, maxlag0, maxlagex=None, dropex=0, trim='forward', use_pandas=False)[source]¶ Generate lagmatrix for 2d array, columns arranged by variables
- Parameters
- xarray_like, 2d
2d data, observation in rows and variables in columns
- maxlag0int
for first variable all lags from zero to maxlag are included
- maxlagexNone or int
max lag for all other variables all lags from zero to maxlag are included
- dropexint (default is 0)
exclude first dropex lags from other variables for all variables, except the first, lags from dropex to maxlagex are included
- trimstring
‘forward’ : trim invalid observations in front
‘backward’ : trim invalid initial observations
‘both’ : trim invalid observations on both sides
‘none’ : no trimming of observations
- use_pandasbool, optional
If true, returns a DataFrame when the input is a pandas Series or DataFrame. If false, return numpy ndarrays.
- Returns
- lagmat2d array
array with lagged observations, columns ordered by variable
Notes
Inefficient implementation for unequal lags, implemented for convenience